Stack Exchange network consists of 175 Q&A communities including Stack Overflow, the largest, most trusted online community for developers to learn, share their knowledge, and build their careers.
PCA is sometimes used to estimate components in the rates term structure.
Are there any other standard method discussed in the literature or used in practice, what are their advantages and disadvantages ?
Nelson Siegel seems to be pretty standard too
Required, but never shown
5 years, 8 months ago
5 years, 1 month ago